Analysis of multi-scale systemic risk in Brazil’s financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique permits us to analyze the relationship bet...

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Detaylı Bibliyografya
Yayımlandı:Revista de Administração - RAUSP
Asıl Yazarlar: Adriana Bruscato Bortoluzzo, Andrea Maria Accioly Fonseca Minardi, Bruno Caio Fernando Passos
Materyal Türü: Artigo
Dil:Inglês
Baskı/Yayın Bilgisi: Universidade de São Paulo 2014
Konular:
Administración y Contabilidad
risk
CAPM
Keywords
wavelets
return ratio
Online Erişim:https://www.redalyc.org/articulo.oa?id=223431145003
Etiketler: Etiketle
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